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A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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Time-varying variance decomposition of macro-finance term structure models
Hansen, Anne Lundgaard - In: Journal of empirical finance 79 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10015179717
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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
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Predicting recessions using VIX-yield curve cycles
Hansen, Anne Lundgaard - In: International journal of forecasting 40 (2024) 1, pp. 409-422
Persistent link: https://www.econbiz.de/10014450279